Overview

Intake: September only
Duration: 12 months full-time
Fees: £23,000 (full-time); £11,500 per year (part-time)
Financial support: Please see our Scholarships page
Application deadline: None - rolling admissions

The MSc in Quantitative Finance develops the specialised skills required to implement theory in areas such as quantitative analysis, financial research, quantitative asset management, derivatives structuring, financial programming and risk management.

As such, it will equip you with a rigorous understanding of the theory behind Asset Pricing, and Fixed Income Securities with relevant applications using various computer software including programming languages. The programme focuses very much on forecasting i.e. econometrics, numerical methods and also covers risk management.

The demand for recruits with strong quantitative skills has spread beyond the pure derivatives area, and graduates from the course move into a range of careers in the financial sector. Cass's proximity to the City of London helps graduates to access outstanding career opportunities, especially as Cass has close links with many City institutions. . 

Information Sessions

Individual Appointments

If you would like to arrange an individual appointment to discuss this programme please email hugh.fairclough.1@city.ac.uk

Course content

We review all our courses regularly to keep them up-to-date on issues of theory, practice and relevance. Therefore, there might be some late changes to the detailed content of the modules, and occasionally to module titles.

To satisfy the requirements of the degree programme students must complete:

nine core courses

and

five electives

or

one elective and a Business Research Project

Two Induction Weeks The Quantitative Finance course starts with two compulsory induction weeks, focused on:

  • an introduction to careers in finance and the opportunity to speak to representatives from over 75 companies during a number of different industry specific fairs.
  • a reminder course of advanced financial mathematics, statistics and basic computing which forms a prerequisite of the core modules in term 1.

Term 1

Four core modules (30 hours each)

Asset Pricing

This course introduces students to the basic concepts used for pricing and analysing financial securities, focusing on spot markets. The efficiency of financial markets is discussed together with the question of whether stock prices are predictable. The importance of the risk and its trade off with return will be analysed in depth. The course is academically rigorous in outlining theoretical models but also focuses on the practical applications and discusses empirical finding.

Numerical Methods 1: Foundations

This module introduces basic concepts used in numerical methods and integrates them with a programming language. This module is lab based and will cover Root finding and non-linear sets of equations; Solution of linear systems; Interpolation and extrapolation; Integration of functions; Partial differential equation; Generation of random number. This module uses Matlab as the programming language and does not require any prior knowledge of programming.

Derivatives

The course will develop an in depth understanding of forwards, futures and swaps and their application in risk management situation. The course covers stock index futures, commodity forward and futures, interest rate derivatives, portfolio insurance, credit derivatives and embedded derivatives for corporate applications.

Foundations of Econometrics

The course aims at introducing students to the technical issues in statistical analysis of financial data such as estimation of time series models, forecasting of financial and economic data, and the modelling of asset prices volatility. The course will be based on standard econometric packages like PC Give.

Term 2

Four core modules (30 hours each)

Fixed Income Securities

This module will acquaint students with the main modelling used in fixed income securities as well as provide students with a good understanding of various fixed income security products. It will enable students to use models in this area for practical applications.

Numerical Methods 2: Applications in Finance

This module builds on Numerical Methods 1 and focuses on applications to finance. Students will learn how to generate stochastic processes; Monte Carlo Simulations; Trees; Pricing American options; Applications in risk management. This module again integrates the programming language Matlab and is lab based.

Risk Analysis

The aim of this module is to develop a solid background for evaluating, managing and researching financial risk. To this end students will learn to analyse and quantify risk according to current best practice in the markets, as implemented in the RiskMetrics and CreditMetrics methodologies.

Econometrics of Financial Markets

This module will cover recent advances in the field of financial econometrics, with particular emphasis on high frequency finance and data types, linear time series models and forecasting, GMM and maximum likelihood estimation methods in finance. Further, students will gain exposure to the most recent literature related to modelling return distributions and volatility, focussing on seasonal and realised volatility dynamics, volatility processes/conditional volatility models, correlation, dynamic correlations and multivariate risks.

Term 3

Five electives (18 hours each)

OR

One elective and a Business Research Project

Electives

You may choose from a wide variety of electives. Electives that were offered in 2013 were:

  • Hedge Funds
  • Emissions Trading
  • Ethics, Society and the Finance Sector
  • Energy and Water Derivatives
  • Foreign Exchange
  • Technical Analysis and Trading Systems
  • Advanced Financial Engineering and Credit Derivatives
  • Advanced Financial Modelling and Forecasting
  • Advanced Options Trading
  • Trading and Hedging in the Forex Market
  • Behaviourial Finance
  • Introduction to C
  • Visual Basics in Finance

Research Methods module

This compulsory module trains students to undertake independent research either in the context of a single organisation or by using third-party sources. It provides the necessary tools and skills to initiate, research and write up a business project and includes training in research methodology, availability of data sources, project writing, time-management and presentation skills. These skills will be invaluable to students in their future career whether or not they choose to complete a project.

Teaching staff

The teaching staff on the MSc in Quantitative Finance have many years of practical experience working in the financial services sector and are also active researchers in their fields.

This knowledge and experience inform the highly interactive lectures that make up the MSc in Quantitative Finance.

Course Director

Dr Dirk Nitzsche

Other Module Leaders include:

Teaching staff on Cass Talks

Some of the lecturing staff on the MSc in Quantitative Finance have taken part in recent editions of Cass Talks.

Dirk Nitzsche on Mutual Funds

Prof. Keith Cuthbertson on female quotas for boards

Accreditations

Cass Business School is among the global elite of business schools that hold the gold standard of 'triple-crown' accreditation from the Association to Advance Collegiate Schools of Business (AACSB), the Association of MBAs (AMBA) and the European Quality Improvement System (EQUIS). We are consistently ranked amongst the best business schools and programmes in the world which, coupled with an established 40-year reputation for excellence in research and business education, enables us to attract some of the best academics, students and businesses worldwide into our exclusive Cass network.

MSc Research Project

Students have the option of studying five specialised electives in term three to give them a breadth of subject matter. Alternatively if students would like to study one particular area of interest in depth they have the option of taking one elective and completing a Business Research Project, which in some cases may be completed in partnership with a sponsoring organisation.

The Project will be of approximately 8,000 words. This offers an opportunity to specialise in a contemporary finance topic related to students' future careers. The Project should be based on independent research either in the context of a single organisation or using third-party sources.

Students are encouraged from the start of the course to think about a topic for their Project. A member of academic staff supervises the project, and the student may choose whom they would like to work with. The Project must be submitted by the end of August. Company sponsored projects are encouraged and a number of such projects may be available.

Many students use this opportunity to complete a project in conjunction with an organisation they might want to work for. This gets their foot in the door and can lead to permanent employment post programme, whilst earning course credit. Cass Careers Service works to coordinate projects with organisations and students.

Some recent projects:

  • Stock returns and volatility in Chinese stock markets
  • Nearest neighbour estimators and foreign exchange rate predictions The inflation market of Sweden - an empirical investigation employing the Markov switching model
  • Sovereign credit default swaps intensity calibration, estimation and application
  • A comparative study of volatility forecasting models for the Greek stock market index
  • Modelling and pricing credit index tranches using the normal inverse Gaussian distribution
  • Fractional Co-integration and Long Memory in index options: Application to High Frequency statistical arbitrage trading strategies
  • Relationship Between Default Values and Recovery Rates and its Effect on Portfolio Credit Risk
  • Time Varying correlation between stock and bond returns

Entry requirements

Degree Level 

To be accepted on to this course you will need a good Bachelors degree in a highly quantitative subject. The required degree classification is usually a UK 2.1 or above, or the equivalent from an overseas institution.

Students who do not hold a Bachelors degree in mathematics, physics or engineering, should have covered areas such as micro and macroeconomics and econometrics, within their first degree.

If you are still undertaking your Bachelors degree studies, you should provide a separate list of the modules that they are undertaking in your final year of study, when you submit your application (if these are not listed on your degree transcripts).

You may also be requested to provide a syllabus of specific modules undertaken during your studies, as part of the assessment process. This is not required at the point of submitting an application however and will only be requested by the admissions team if required as part of the assessment process.

Work Experience

No work experience is required for this programme, but please provide details of any relevant experience that might enhance your profile.

English Requirements

Every year we welcome students from around 100 different countries. It is essential that all students have an excellent command of English in order to participate fully in our collaborative learning process. If you are not a native English speaker but have been studying in English at a degree level for the last three years, please submit a copy of your most recent English language test scores/qualification along with your application and a decision will be made by the Admissions Panel. If you have done a 2+2 degree with two years in the UK you WILL be required to provide IELTS or TOEFL scores and possibly to resit the test to meet our academic entry requirements.

Please note that we assess each application on its own merit and you can help us to make decision by providing all relevant documents at the time of application.

We require all Cass MSc students who are not nationals of a majority English-speaking country OR have not successfully completed an academic qualification, at least equivalent to a UK bachelor's degree, which was taught in a majority English-speaking country as defined by the UK Border Agency, to have an overall IELTS score of at least 7.0 (with a minimum of 6.5 in writing). For TOEFL we require, 107 (internet based test) / 263 (computer based test) / 627 (paper based test). Our TOEFL code is 7650.

We do not offer nor accept a pre-sessional English class as an alternative to the listed English tests. Any pre-sessional course should be viewed as an aid to living and studying in the UK and not as a way of topping up an IELTS or TOEFL score.

Documents required for decision-making

  • Transcript/interim transcript
  • Two references, one of which MUST be an academic reference
  • IELTS/TOEFL/GMAT, if reports available
  • Confirmation of professional qualification examinations/exemptions/passes, if applicable

Tuition fees and term dates

Tuition fees 2014/15

Application fee: Nil

Tuition fee: £23,000 Currency Converter

Deposit: £2,000 (paid within 1 month of receiving offer)

First instalment: Half fees less deposit (paid at registration)
Second instalment: Half fees (paid in January following start of programme)

Term dates 2014/15

The programme starts with:

Compulsory Induction Period: 15 September 2014 - 26 September 2014

Term I
29 September 2014 - 5 December 2014
Term I exams
12 January 2015 - 23 January 2015

Term II
26 January 2015 - 3 April 2015
Term II exams
27 April 2015 - 8 May 2015

Term III
11 May 2015 - 26 June 2015
Term III exams
29 June 2015 - 10 July 2015

Submission deadline for Business Research Project 
1 September 2015

Official Course End Date
30 September 2015

Career opportunities

Although investment and hedge funds remain the biggest users and innovators in quantitative finance, other financial sectors such as commercial banking, insurance and fund management are now keenly interested. Fund managers and hedge funds, for example, make extensive use of quantitative techniques to develop trading strategies, optimise portfolios and assess risk.

MSc in Quantitative Finance Employability

Our Graduate Destination Survey (pdf) of last year's MSc in Quantitative Finance cohort shows that 87% of graduates are now either in work (83%) or not job seeking as they are in further study, military service etc. (4%)*

Some examples of where graduates from the 2010/11 MSc in Quantitative Finance are working are:

  • Markit Group - Portfolio Valuations, Product Analyst - UK
  • Sporting Index - Data Modelling, Tester and Junior Modeller - UK
  • Standard & Poor's - Analytic Development Group, Risk Analyst - UK
  • Deutsche Bank Risk Centre - Risk Analytics and Instruments, Quant Analyst - Germany
  • The Bank of Tokyo - Mitsubishi UFJ - Global Sales and Trading, Interest Rate Derivatives Trader - Thailand

*Based on 2012 survey respondents

Cass Careers Service